Currently, the risk-free rate is 6% and the market risk premium is 5%. Given this information, which of the following statements is CORRECT?

An index fund with beta = 1.0 should have a required return of 11%. If a stock has a negative beta, its required return must also be negative. An index fund with beta = 1.0 should have a required return less than 11%. If a stock's beta doubles, its required return must also double. An index fund with beta = 1.0 should have a required return greater than 11%.